[R-SIG-Finance] Appropriate lag length in VAR/VECM
Arun.stat
arun.kumar.saha at gmail.com
Fri Apr 2 08:48:40 CEST 2010
Dear Kaushik, detailed procedures for selection of the lag-length of any VAR
family of models is explicitly discussed (with underlying theory) in
Lutkepohl-2006. You may wish to visit www.jmulti.de to find more details.
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